Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 5 5 4
Score -1.67 -1.04 -2.18
Market Cap (Millions USD) 1629.2 1596.99 1676.05
Predicted Beta 1.5 1.49 1.46
Idiosyncratic Volatility 2.03 2.03 2.17

Annualized return and volatility

IYF
Annualized Return 0.0400
Annualized Std Dev 0.2649
Annualized Sharpe (Rf=0%) 0.1509

Row

Daily Return Statistics

IYF
Observations 5010.0000
NAs 104.0000
Minimum -0.2134
Quartile 1 -0.0057
Median 0.0004
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0067
Maximum 0.1566
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0167
Skewness -0.1765
Kurtosis 18.7915

Downside Risk

IYF
Semi Deviation 0.0119
Gain Deviation 0.0131
Loss Deviation 0.0137
Downside Deviation (MAR=210%) 0.0162
Downside Deviation (Rf=0%) 0.0118
Downside Deviation (0%) 0.0118
Maximum Drawdown 0.7909
Historical VaR (95%) -0.0230
Historical ES (95%) -0.0399
Modified VaR (95%) -0.0216
Modified ES (95%) -0.0216
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-06 2016-12-07 -0.7909 2439 454 1985
2000-05-30 2002-10-09 2003-11-03 -0.3353 879 603 276
2018-09-21 2018-12-24 2019-04-26 -0.1989 151 66 85
2004-03-08 2004-05-10 2004-11-11 -0.1123 176 46 130
2018-01-29 2018-02-08 2018-09-20 -0.0940 167 9 158

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IYF
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA 2.4 0.0 0.8 -1.1 0.0 -1.1 -0.5 0 0.5
2001 0.2 0.4 0.0 0.5 -0.5 0.0 0.4 0.0 -0.1 1.2 0.0 0 2.2
2002 -0.8 1.0 -0.4 0.5 0.0 -1.7 -2.1 0.0 4.1 1.1 0.0 0 1.5
2003 0.0 0.0 2.1 0.0 0.0 1.2 -1.9 0.0 2.2 0.0 1.0 0 4.7
2004 0.0 0.9 1.0 0.0 -0.4 -0.6 0.0 -0.5 1.3 0.1 1.9 0 3.7
2005 1.0 1.3 -0.9 0.0 0.7 0.4 -0.2 0.4 0.0 -0.7 0.8 0 2.9
2006 0.3 0.6 0.0 -1.4 1.4 0.0 -0.1 0.2 0.0 -0.8 -0.5 0 -0.4
2007 0.5 -0.3 0.0 0.0 0.3 0.0 0.3 0.0 2.1 -4.1 0.0 0 -1.3
2008 2.1 0.0 7.0 3.9 0.0 1.0 0.7 0.0 1.1 0.0 -15.7 0 -1.6
2009 0.0 0.0 2.4 -1.3 1.2 -0.4 0.0 -4.7 -3.9 0.0 0.3 0 -6.4
2010 1.3 0.4 0.8 0.0 -2.2 -0.7 0.0 3.7 0.8 -0.1 2.1 0 6.1
2011 1.9 -2.0 0.8 0.0 -3.2 1.8 -0.3 -2.2 0.0 -4.4 -0.6 0 -8.1
2012 1.6 1.1 0.0 1.0 -3.5 0.0 -0.5 0.0 0.4 1.3 0.0 0 1.4
2013 1.3 0.4 -0.5 -1.1 0.0 0.5 1.5 0.0 1.0 0.2 0.0 0 3.4
2014 0.0 0.0 0.4 0.2 0.0 0.6 -0.7 0.0 -1.1 0.0 -0.8 0 -1.3
2015 0.0 0.0 -0.1 0.8 0.3 1.4 0.0 -3.5 0.2 0.0 1.1 0 0.0
2016 -0.5 3.4 0.7 0.0 0.3 -0.4 -0.2 -0.3 0.0 -0.8 0.7 0 2.8
2017 -0.2 2.0 0.0 0.5 1.1 0.0 0.7 0.3 0.0 0.2 0.2 0 5.1
2018 0.6 -1.4 0.0 0.3 0.9 0.0 0.2 0.0 0.0 0.6 0.0 0 1.1
2019 0.5 0.4 1.7 -0.7 0.0 0.7 -1.4 0.0 -1.7 1.1 0.0 0 0.7

Row

Rolling Performance Chart

Snail Trail Chart